Madison Park XII is an arbitrage cash flow collateralized loan
obligation (CLO) that will be managed by Credit Suisse Asset Management,
LLC (CSAM). A portion of net proceeds from the issuance of secured and
subordinated notes will be used to repay parties that provided interim
financing, allowing the issuer to purchase collateral prior to the
closing date. The balance of net proceeds will be used to purchase
assets to reach a target portfolio of approximately $800 million of
primarily leveraged loans. The CLO will have a four-year reinvestment
period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 38.1% for
class A notes, in addition to excess spread, is sufficient to protect
against portfolio default and recovery rate projections in the 'AAAsf'
stress scenario. The level of CE for class A notes is above the average
for recent CLO issuances.

'B/B-' Asset Quality: The average credit quality of the indicative
portfolio is 'B/B-', which is comparable to recent CLOs. Issuers rated
in the 'B' rating category denote relatively weak credit quality;
however, in Fitch's opinion, class A notes are unlikely to be affected
by the foreseeable level of defaults. Class A notes are robust against
default rates of up to 63.8%.

Strong Recovery Expectations: The indicative portfolio consists of 97.6%
senior secured loans, of which about 92.4% have strong recovery
prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher. This
is in line with the seniority profile of recently issued CLO
transactions.

Consistent Portfolio Parameters: The portfolio will be actively managed
and bound by concentration limitations addressing various loan
characteristics. The concentration limitations presented to date are
within the range of limits set in the majority of recent CLOs. Fitch
addressed the impact of the most prominent risk-presenting concentration
allowances.

RATING SENSITIVITIES

In addition to Fitch's stated criteria, the agency analyzed the
structure's sensitivity to the potential variability of key model
assumptions including decreases in weighted average spread or recovery
rates and increases in default rates or correlation. The class A notes
are expected to remain investment grade even under the most extreme
sensitivity scenarios. Results under these sensitivity scenarios ranged
between 'A+sf' and 'AAAsf' for the class A notes.

The expected ratings are based on information provided to Fitch by the
arranger, Wells Fargo Securities, LLC, as of May 8, 2014. Key Rating
Drivers and Rating Sensitivities are further described in the
accompanying presale report.

The presale report is available to investors on Fitch's web site at www.fitchratings.com.
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